Level 1 Aggregations

Data descriptions

  • OHLCV - The open, high, low, and close prices for a given period, alongside the volume traded.

  • VWAP - The average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts. VWAP formula: ∑(Price * Volume) / ∑Volume.

  • Trade count - The total number of trades from a given period.

Data details

Data / channel
Historical data
Live?
Granularity
Coverage
Docs link

OHLCV

AWS, Azure, Google Cloud Platform

Since 2010

New CSV once a day

1s - 1d

Snowflake, BigQuery

Since 2010

Data refreshes once a day

Also available in near real-time

1s - 1d

VWAP

Stream

72 hours on replay

Yes

Monthly-based 1s - 1d Yearly-based 1h, 4h, and 1d

Rest API

Since 2010

Yes

Monthly-based 1s - 1d Yearly-based 1h, 4h, and 1d

AWS, Azure, Google Cloud Platform

Since 2010

New CSV once a day

Monthly-based 1s - 1d Yearly-based 1h, 4h, and 1d

Snowflake, BigQuery

Since 2010

Data refreshes once a day

Also available in near real-time

Monthly-based 1s - 1d Yearly-based 1h, 4h, and 1d

Trade count

AWS, Azure, Google Cloud Platform

Since 2010

New CSV once a day

1s - 1d

Snowflake, BigQuery

Since 2010

Data refreshes once a day

Also available in near real-time

1s - 1d

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